Macro factors and the realized volatility of commodities: A dynamic network analysis

被引:96
作者
Hu, Min [1 ]
Zhang, Dayong [1 ]
Ji, Qiang [2 ,3 ]
Wei, Lijian [4 ]
机构
[1] Southwestern Univ Finance & Econ, Res Inst Econ & Management, Chengdu, Peoples R China
[2] Chinese Acad Sci, Inst Sci & Dev, Beijing 100190, Peoples R China
[3] Univ Chinese Acad Sci, Sch Publ Policy & Management, Beijing 100049, Peoples R China
[4] Sun Yat Sen Univ, Business Sch, Guangzhou 510275, Peoples R China
基金
中国国家自然科学基金;
关键词
Commodity prices; Dynamic network; High-frequency data; Macro factors; Realized volatility; EXCESS CO-MOVEMENT; IMPLIED VOLATILITY; CRUDE-OIL; EQUITY MARKETS; PRICE; FUTURES; CONNECTEDNESS; ENERGY; SHOCKS; STOCK;
D O I
10.1016/j.resourpol.2020.101813
中图分类号
X [环境科学、安全科学];
学科分类号
08 ; 0830 ;
摘要
This paper explores the relationship between macro-factors and the realized volatility of commodity futures. Three main commodities-soybeans, gold and crude oil-are investigated using high-frequency data. For macro factors, we select six indicators including economic policy uncertainty (EPU), the economic surprise index (ESI), default spread (DEF), the investor sentiment index (SI), the volatility index (VIX), and the geopolitical risk index (GPR). These indicators represent three dimensions from macroeconomics and capital markets to a broader geopolitical dimension. Through establishing a dynamic connectedness network, we show how these macro factors contribute to the volatility fluctuations in commodity markets. The results demonstrate clearly distinctive features in the reaction to macro shocks across different commodities. Crude oil and gold, for example, are more reactive to market sentiment, whereas DEF contributes the most to the realized volatility of soybeans. Macroeconomic factors and geopolitical risks are more relevant to crude oil volatilities compare to the other two. Our empirical results also reveal the fact that the macro influence on the realized volatility of commodities is time varying.
引用
收藏
页数:13
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